Proposed Changes in Risk‑Based Capital Rules for U.S. Life Insurance Investments: A Game Changer for CIOs?

We analyze the impact of proposed changes in the National
Association of Insurance Commissioners’ capital charges on
the fixed income investment portfolios of U.S.-domiciled life
insurers. Starting from an estimated current fixed income
allocation for the sector, we discuss possible shifts in the
optimal allocation that would result from the proposed changes
in risk weights, and their possible market implications.

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